I don't understand why predictions from
lm.ridge() are so far out, when using the "best" lambda, based upon GCV. Can anyone help me to obtain better predictions? Or, at least, does anyone have a good ridge example with a simple explanation of the results?
Below is my R code for wine quality data (from http://archive.ics.uci.edu/ml/machine-learning-databases/wine-quality/winequality-red.csv):
library(MASS) wine_all <- read.table("winequality-red.csv", sep=";", header = T) wine_train <- wine_all[1:1400,] wine_test <- wine_all[-(1:1400),] train.lm <- lm.ridge(quality~., wine_train, lambda = seq(0, 100, 0.1)) plot(x=train.lm$lambda, y=train.lm$GCV) pred.test <- scale(wine_test[,1:11], center = F, scale = train.lm$scales) %*% train.lm$coef[, which.min(train.lm$GCV)] + train.lm$ym pred.all <- scale(wine_all[,1:11], center = F, scale = train.lm$scales) %*% train.lm$coef[, which.min(train.lm$GCV)] + train.lm$ym cor(wine_test[, 12], pred.test)^2 cor(wine_all[, 12], pred.all)^2